Five Year Credit Default Swap Levels (October 12, 2000)

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Five Year Credit Default Swap Levels (October 12, 2000)

U.S.
Name Bid Offer Ratings (Moody's/S&P)
CIT 80 90 A1/A+
Citigroup 23 33 Aa2/AA-
Enron 110 120 Baa1/BBB+.
Ford 70 75 A2/A+
Georgia Pacific 185 205 Baa2/BBB-
Hilton 160 180 Baa3/BBB-
IBM 37 43 A1/A+
Sears Roebuck Acceptance 73 83 A3/A-
Time Warner 53 63 Baa3/BBB+
TXU Corp. 80 100 Baa3/BBB
Europe
Ahold 40 48 A3/BBB+
BSkyB 265 315 Ba1/BB+
Credit Lyonnais 36 44 A2/A-
DaimlerChrysler 89 95 A1/A+
Deutsche Telekom 102 110 A2/A-
Poland 35 40 Baa1/BBB+
Tecnost 130 160 Baa2/BBB
Turkey 625 750 B1/B+
Unicredito Italiano 37 45 Aa3/A+
Vivendi 78 88 Baa2/BBB
Japan
BOTM 25 35 A2/A-
Japan 12 14 Aa2/AAA
NTT 17 27 Aa1/AA+
Toyota 13 23 Aa1/AAA
Asia Ex-Japan
China 45 1200 A3/BBB
Hutchinson Whampoa Finance 100 740 A3/A
Korea 95 650 Baa2/BBB
Malaysia 122 250 Baa3/BBB(Fitch)
Philippines 425 775 Ba1/BB+
Latin America
Argentina 800 55 B1/BB
Brazil 480 110 B2/B+
Colombia 650 105 Ba2/BB
Mexico 175 132 Baa3/BB+
Venezuela 610 475 B2/B
Source: Lehman Brothers

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